Estimation of cyclic long‐memory parameters

DOI10.1111/sjos.12404zbMath1444.62097OpenAlexW2966262929MaRDI QIDQ5108974

Myriam Fradon, Huda Mohammed Alomari, Antoine Ayache, Andrew Ya. Olenko

Publication date: 7 May 2020

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12404

zbMATH Keywords

stochastic processfilterwavelet transformationseasonal/cyclic long memoryestimators of parametersGegenbauer-type spectral densities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and spectral analysis (62M15) General theory of stochastic processes (60G07)

Related Items (6)

Asymptotic normality of simultaneous estimators of cyclic long-memory processes ⋮ Limit theorems for filtered long-range dependent random fields ⋮ STOCHASTIC MODELLING AND STATISTICAL ANALYSIS OF SPATIAL AND LONG-RANGE DEPENDENT DATA ⋮ Inference for estimators of generalized long memory processes ⋮ STATISTICAL ANALYSIS OF LONG-RANGE DEPENDENT RANDOM PROCESSES AND FIELDS ⋮ Estimation methods for stationary Gegenbauer processes

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